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I am trying to implement trailing stop based on ATR (average true
range) in AFL for exit signals. I beleive this is called chandelier
exit. Basically, I would like to move the stop up based on close
prices and ATR but never down.
I came up with this:
x = Close - ATR(10) * 3;
ts = iif(x > ref(x, -1), x, Ref(x, -1));
However this does not work. The problem is that second statement
continues to use raw "x" values where it should be using modified
"ts" values based on second statment. I replaced second statement
with following but that didn't help:
x = iif(x > ref(x, -1), x, Ref(x, -1));
Any help is appreciated.
Thanks.
Deepinder.
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